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Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting · Study

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ArticleMachine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

Jan De Spiegeleer2018

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Articlegreen2018

Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

Jan De Spiegeleer · Dilip B. Madan · Sofie Reyners · Wim Schoutens

158 citations·0/0 files stored·Quantitative Finance

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Stochastic processes and financial applications Stock Market Forecasting Methods Gaussian Processes and Bayesian Inference

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999Option valuation using the fast Fourier transform 1998The Variance Gamma Process and Option Pricing 1990The Variance Gamma (V.G.) Model for Share Market Returns 2003Lévy processes in finance pricing financial derivatives 2003Lévy Processes in Finance 1991Option Pricing With V. G. Martingale Components1 2006THE RANGE OF TRADED OPTION PRICES

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Details

Year2018

Typearticle

Published2018-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations158

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1080/14697688.2018.1495335

openalex_workW2884544303

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